README to accompany code submission for housing analysis elements of:

At the Top of the Mind:  Peak Prices and the Disposition Effect, by E. Quispe-Torreblanca, D. Hume, J. Gathergood,  G. Loewenstein, and N. Stewart, forthcoming (2025) at Journal of Political Economy Microeconomics


INTRODUCTION

The code enclosed in these files generates the housing elements of the analysis in the paper, shown in Section 5 of the paper onwards.

The code is broken down into a series of files which generate the main analyses, and additional analyses. 

Notes provided in the code reference the figures and tables shown in the paper.


DATA

The data used in the paper (described in Section 2.1) are available for academic use and can be obtained from the following sources:

1. Data on home sales is provided by His Majesty's Land Registry (HMLR) in the Price Paid Dataset (PPD). HM Land Registry data © Crown copyright and database right 2018. This data is licensed under the Open Government Licence v3.0. HMLR is a UK government agency with legal responsibility for registering the ownership of land and property in England and Wales. To obtain the data please see https://www.gov.uk/government/collections/price-paid-data

2. Data on house prices is provided by the Office for National Statistics in the UK House Price Index (HPI).We use the indices for each calendar quarter between 1 January 1995 until 31 December 2019 by dwelling type and at the most granular level of geographic area provided, which are the 340 EW local government districts. To obtain the data please see https://www.ons.gov.uk/economy/inflationandpriceindices

3. Data on the housing stock is provided by the Ministry of Housing, Communities and Local Government. for English districts) and the Welsh Government (for Welsh districts). Data are available from 31 March 2001 to 31 March 2018. Quarterly housing stock is estimated by linear interpolation of the annual figures. To obtain the data please see  https://www.gov.uk/government/statistics/dwelling-stock-estimates-in-england-2022/dwelling-stock-estimates-england-31-march-2022

4. Data on quarterly LTV ratios is provided by the Financial Conduct Authority. These data are derived from the Bank of England Product Sales Database and provide LTVBs for re-mortgagors y the 10 EW regions between the second quarter 2005 and the fourth quarter of 2019 This is an extension of a table that the FCA makes public as part of their quarterly Mortgage Lenders & Administrators Return. To obtain these data please see https://www.fca.org.uk/firms/regulatory-reporting/mortgage-lending-administration-return-mlar

The data sets above are updated regularly, including revisions to the historical data. If you require any assistance accessing the data, or ascertaining the vintages of the data used in the analysis, please contact the authors

Please note that for the analysis in the published paper, results are drawn from a 15% random sample. This is due to computational limitations.

CODE  


R scripts are provided. A description of the code is as follows.

1_Data_prepare - Builds the main sample, including identifying the peaks. Produces Table A2, A4A, A4B, A5A, A5B, A7, A8, A9

2_Figures - Majority of figures in the main results and appendix. Produces Figures 1A, 2A 2B 2C, A2, A3, A4, A5, A6A, A6B, A7, A8A, A8B, A9A, A9B, A10A, A10B, A10C, A11A, A11B, A12A, A12B, A12C 

3_Regression_Purchase - The main OLS & FE regressions including median splits where purchase price is the reference price. Produces Tables 1, 2, A14A, A14B, A15A, A15B, A16A, A16B, A17A, A17B 

4_Regression_ Both - The main OLS & FE regressions including median splits where both purchase price and peak price are reference prices. Produces Tables 3, 4, A18A, A18B, A19A, A19B, A20A, A20B, A21A, A21B, A22A, A22B

5_Regression_Cox - Cox PH model. Produces Table A30

6a_Data_prepare_Sensitivity; 6b_Figures_sensitivity; 6c_Analysis_Sensitivity.- Including the code for the 2 and 4 quarters definitions of a peak price. Produces Tables A11A, A11B, A12A, A12B, A23, A24, A27, A28, A29, 

7_Odean - JPE: Odean-style return analysis. Produces Table 11 Panel B 

8_Deciles-JPE: Deciles analysis. Produces Table 7


Note that the code follows the below name conventions, shown in " ", which appear in the script:

A "Purchase" - purchase price is the reference price; "Peak" - peak price is the reference price; "Both" - both peak & purchase price are reference prices

B "ols" - ols regression model or "fe" - fixed effects model

C "L" - levels (as opposed to "P" -  percentage; though the latter not used in the final published version of the paper)

D "All15pc" - the 15% sample used in the paper [code development used smaller samples named "All1pc", "Test"]


Note that the directory calls in the script will need editing depending on where you locate the data. The directory calls currently read from "./Data/".


QUESTIONS

If you have any questions relating to the data and code, please contact the authors via john.gathergood@nottingham.ac.uk 